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Umberto Cherubini

Professore associato confermato

Dipartimento di Scienze Economiche

Settore scientifico disciplinare: SECS-S/06 METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE

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Titoli per short term paper. Esame Rischio di Credito. CDS Scienze Statistiche Finanziarie e Attuariali

1)      Legal risk in lending and derivative contracts with municipal entities: the Italian experience

2)      SIFI (Systemic Important Financial Institutions): who is too big?

3)      Basel III measures of counterparty risk

4)      The CONSOB approach to probability scenarios for structured bonds

5)      Basel III measures of liquidity risk

6)      The new regulation on prudent valuation (Additional Valuation Adjustment, AVA)

7)      The structure of Asset Quality Review of the ECB

8)      Designing risk management for a retail entity: Pros and cons of fixed vs floating rate and structured debt. Illustrative examples.

9)      Liquidity risk: evaluating and hedging no-maturity deposits: interest rate risk, basis risk and quantity risk.

10)  Liquidity risk: impact of the Tremonti bond provisions on Italian banks. The cases of MPS, BPM, Banco Popolare.

11)  The MIFID regulation

12)  The EMIR regulation for derivative trading

13)  Sovereign risk: disentangling Euro risk and default risk.

14)  Build a risk management scenario for exit from the Euro

15)  Counterparty risk: futures-style vs OTC. Evaluating the price difference.

16)  Risk management analysis of early termination of derivative contracts

17)  Recovery risk: extracting recovery from CDS quotes and ASW and the basis

18)  Recovery risk: how to determine the “haircut” of an obligor? Analysis of proposals and simulations.

19)  Credit risk: risk management of covered bonds. Design and evaluation.

20)   Liquidity risk: the liquidity battle in Europe. Measuring flight-to-quality to the Bund market.

21)  Correlation risk: an analysis of the may 2005 hedge fund crisis. Hedging CDOs with CDX.

22)  Correlation risk: the EFSF (and ESM) as CDOS. Risk management of EFSF (ESM) bonds

23)  The risk management of market-making. Building a risk management system for a firm that has to stand ready to buy and sell a security. 

24)   Evaluating personal guarantees: the role of dependence

25)  CDO squared: purpose and techniques

26)   Real estate risk: evaluating options on real estate.

27)   Longevity risk: measuring and hedging the exposure to insurance companies .

28)  Counterparty risk. Pricing hybrid swaps.

29)  Hybrid risk. Real estate and longevity risk in reverse mortgages.

30) The market of standardized CDS: CDX and iTraxx

 

Pubblicato il: 27 aprile 2014